Hey, if it was good enough for Margaret Mitchell (
Gone With The Wind), it's good enough for me.
More seriously, aside from having to pay very close attention to continuity, I don't see why it should be any more of a problem than writing in order. Although I've never actually written book-length fiction, so I suppose you should take my thoughts on the matter with a whole shaker of salt.
On the other hand, I almost always write non-fiction longer than a couple of pages out of order, and it never has been a problem...and yes, you do have to pay attention to continuity when writing non-fiction, too.